Blender 2.8 scene collection not update when adding new objects
Tldr : Press TAB to toggle between edit mode and object mode.

Blender has two separate modes for editing objects (object mode) and editing geometry (edit mode).

Right now you are adding more geometry to the same object, in edit mode. In edit mode, you can add the same default primitives (cylinder, sphere, cube...) as in object mode, but this will not create a new object, only add to the existing object's geometry.

If you want to create new actual objects, you need to toggle the mode into object mode with TAB or click the foldout menu in the top left of your 3D view.

Incidentally, if you select two or more objects in object mode, then go into edit mode with TAB, you will be able to edit all of the objects' geometry at once (Since Blender 2.80).